Testing functional inequalities

Sokbae (Simon) Lee, Kyungchul Song and Yoon-Jae Whang

Journal of Econometrics, 2013, vol. 172, issue 1, 14-32

Abstract: This paper develops tests for inequality constraints of nonparametric regression functions. The test statistics involve a one-sided version of Lp-type functionals of kernel estimators (1≤p<∞). Drawing on the approach of Poissonization, this paper establishes that the tests are asymptotically distribution free, admitting asymptotic normal approximation. In particular, the tests using the standard normal critical values have asymptotically correct size and are consistent against general fixed alternatives. Furthermore, we establish conditions under which the tests have nontrivial local power against Pitman local alternatives. Some results from Monte Carlo simulations are presented.

Keywords: Conditional moment inequalities; Kernel estimation; One-sided test; Local power; Lp norm; Poissonization (search for similar items in EconPapers)
JEL-codes: C12 C14 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (53)

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Working Paper: Testing functional inequalities (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:172:y:2013:i:1:p:14-32

DOI: 10.1016/j.jeconom.2012.08.006

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